Search Results - subject:"Regime-switching process"

Kim, Sung Ik - In: Finance research letters 56 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014473613

Chang, Kai; Pei, Ping; Zhang, Chao; Wu, Xin - In: Energy economics 67 (2017), pp. 213-223

Persistent link: https://www.econbiz.de/10011897908

Abdymomunov, Azamat - In: Annals of Finance 9 (2013) 3, pp. 455-470

regime-switching process, distinguishing “low” and “high” volatility regimes. I find that the joint “high” volatility regime …

Persistent link: https://www.econbiz.de/10010989124

Abdymomunov, Azamat - In: Annals of finance 9 (2013) 3, pp. 455-470

Persistent link: https://www.econbiz.de/10009776423

Wahab, M. I. M.; Yin, Z.; Edirisinghe, N. C. P. - In: Quantitative Finance 10 (2010) 9, pp. 975-994

daily average price of electricity by a regime-switching process that utilises three regimes, consisting of Brownian motions …

Persistent link: https://www.econbiz.de/10008675049